 Second Order Approximation for the Average Marginal Effect of Heckman's Two Step ProcedureAlpaslan Akay (alpaslan.akay@economics.gu.se) and Elias Tsakas (e.tsakas@maastrichtuniversity.nl) No 239, Working Papers in Economics from University of Gothenburg, Department of Economics Abstract: In this paper we discuss the differences between the average marginal effect and the marginal effect of the average individual in sample selection models, estimated by Heckman's two step procedure. We show that the bias that emerges as a consequence of interchanging them, could be very significant, even in the limit. We suggest a computationally cheap approximation method, which corrects the bias in a large extent. We illustrate the implications of our method with an empirical application of earnings assimilation and a small Monte Carlo simulation.
Keywords: Heckman's two step estimator; average marginal effect; marginal effect of the average individual; earnings assimilation (search for similar items in EconPapers) Forthcoming in Applied Economics. Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hhs:gunwpe:0239 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in Working Papers in Economics from University of Gothenburg, Department of Economics Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden. Contact information at EDIRC. |
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